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On the first ruin moment for a modified risk process with immediate reflection

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Abstract

For a modified risk process with immediate reflection downward, we establish relations for an integral transformation of its characteristic function and the corresponding transformation of the limit distribution of the considered process under ergodicity conditions. The distribution is obtained for the first ruin moment of the introduced risk process.

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References

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    D. V. Gusak

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  1. D. V. Gusak
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Additional information

Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 10, pp. 1419–1425, October, 1998.

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Gusak, D.V. On the first ruin moment for a modified risk process with immediate reflection. Ukr Math J 50, 1622–1629 (1998). https://doi.org/10.1007/BF02513494

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  • DOI: https://doi.org/10.1007/BF02513494

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